Figure 1 shows that our results tracked the author’s results very closely despite minor differences in how we constructed our index of foreign stocks.įigure 1. We replicated the original research using close data proxies.
A different kind of strategy is Dual Momentum by Gari Antonacci.
GEM has produced attractive absolute and risk-adjusted performance since 1950, both in- and out-of-sample. A simple one is the three-fund-approach by the bogleheads on the related forum. That is to say, the dual momentum approach seeks to invest in an asset only if it is performing better than its peers over a given period and has a positive (.
#DUAL MOMENTUM INVESTING PDF HOW TO#
To describe how to use ensemble methods to preserve expected performance, while minimizing the probability of adverse outcomes.To verify the strength and robustness of the dual momentum concept and specifically the global equity momentum strategy and.We examined this concept under the microscope using “dual momentum” – and in particular “global equity momentum” – as our case study. low cost fund or Exchange Traded Fund for the majority of investors is. However, this ignores a critically important feature of investing – “diversification.” By diversifying across many equally legitimate parameter choices – an ensemble – investors may be able to preserve expected performance with a higher degree of stability. Table 7: Performance measures Dual momentum Individual stocks (DMI) 1985 2015. Quantitative investment researchers often seek uniquely optimal parameterizations of their strategies amongst a broad “robust” region of parameter choices.
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